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Post-Data SOFR Options

STIR
Post data vol sellers in Jun'24 in addition to slightly better upside call trade as option accounts fade the post-data sell-off. Projected rate cut pricing has cooled significantly post data: May 2024 at -5.7bp vs -9.8% pre-data w/ cumulative -1.4bp at 5.312%; June 2024 -51.6% vs -59.6% earlier w/ cumulative rate cut -14.5bp at 5.178%. July'24 cumulative at -23.4bp vs -28.9bp earlier, Sep'24 cumulative -40.1bp vs. -45.1bp earlier.
  • -2,000 SFRM4 94.87 straddles, 15.5
  • 5,000 SFRJ4 94.87 calls, 1.5
  • +10,000 SFRJ4 94.87/94.93 call spds, 1.0 ref 94.84
  • +4,000 SFRU4 95.50/96.00 2x3 call spds 0.75
  • +2,500 SFRZ4 94.37/94.62/94.87 put flys 1.25 over SFRZ 95.75/96.00/96.25/96.50 call condors

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